Safety, health and environmental (SHE) management is becoming a priority as construction companies (i.e., contractors) strive to reduce construction accidents and negative environmental impacts, conform to regulatory requirements, and sustain their competitiveness. Consequently, construction firms are expected to adopt and implement innovative SHE management systems to mitigate SHE risks effectively and efficiently. For construction firms to effectively do this, they need to have the adequate capability in respect of integrated SHE management. However, there is limited empirical insight regarding the integrated SHE management capabilities of construction companies. Furthermore, there is limited insight regarding the mechanisms for ascertaining the integrated SHE management capability of construction companies to guide such organisations towards SHE management excellence in their operations. Drawing on the capability maturity model integration (CMMI) concept, this study, by applying expert reviews (i.e., Delphi technique and the design methodology for capability maturity grids), developed an integrated Safety, Health and Environmental Management Maturity Model (iSHEM-CMM). The model offers capability maturity assessment on a five-level scale within five thematic categories and 20 integrated SHE management capability attributes. Based on an industrial validation by construction professionals, it is concluded that the maturity model is a useful assessment framework or tool for industry stakeholders, particularly construction firms, to evaluate the status of their current SHE management capabilities, identify strengths and improvement areas, and accordingly prioritise strategies/actions for improving their SHE management. Furthermore, clients who appoint construction companies could use the model as part of prequalification arrangements in selecting construction companies with an adequate SHE management capability.